| Document Type
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BL
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| Record Number
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1018150
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| Doc. No
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b772520
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| Main Entry
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Bergstrom, A. R., (Albert Rex)
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| Title & Author
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A continuous time econometric model of the United Kingdom with stochastic trends /\ Albert Rex Bergstrom, Khalid Ben Nowman.
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| Publication Statement
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New York :: Cambridge University Press,, 2007.
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| Page. NO
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1 online resource (xxi, 290 pages) :: illustrations
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| ISBN
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0511664680
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: 1107198445
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: 1107315751
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: 1107316715
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: 1107317673
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: 1107318602
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: 1107322103
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: 1139810693
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: 1299399789
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: 9780511664687
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: 9781107198449
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: 9781107315754
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: 9781107316713
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: 9781107317673
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: 9781107318601
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: 9781107322103
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: 9781139810692
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: 9781299399785
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0521875498
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9780521875493
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| Bibliographies/Indexes
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Includes bibliographical references (pages 269-284) and indexes.
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| Contents
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Cover; Title; Copyright; Dedication; Contents; List of Figures and Tables; Foreword; Preface; 1 Introduction to Continuous Time Modelling; 1.1 Introduction; 1.2 Why Model in Continuous Time; 1.3 Introduction to General Continuous Time Models; 1.4 Continuous Time Models in Finance; 1.5 Continuous Time Macroeconomic Modelling; 1.6 Policy Analysis in Continuous Time Macroeconomic Models; 1.7 Stochastic Trends in Econometric Models; 1.8 An Outline of Contents; 2 Continuous Time Econometrics with Stochastic Trends; 2.1 Introduction; 2.2 The Continuous Time Model
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2.3 The Exact Discrete Model and Its VARMAX Representation2.4 Estimation and Forecasting; 2.5 Conclusion; Appendix A: Formulae for the Coefficient Matrices of Exact Discrete Model; Appendix B: Formulae for the Autocovariance Matrices; 3 Model Specification; 3.1 Introduction; 3.2 Equations and General Properties of the Model; Endogenous Variables; Exogenous Variables; Unobservable Trend Variables; Structural Equations; 3.3 Private Consumption; 3.4 Residential Fixed Capital; 3.5 Employment; 3.6 Private Non-Residential Fixed Capital; 3.7 Output; 3.8 Price Level; 3.9 Wage Rate; 3.10 Interest Rate
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3.11 Imports3.12 Non-Oil Exports; 3.13 Transfers Abroad; 3.14 Real Profits Interest and Dividends from Abroad; 3.15 Cumulative Net Real Investment Abroad; 3.16 Exchange Rate; 3.17 Stocks; 3.18 Conclusion; Appendix A: Derivation of General Adjustment Equations; Appendix B: Distributed Lag Relations; 4 Steady State and Stability Analysis; 4.1 Introduction; 4.2 The Steady State; 4.3 Stability Analysis; 4.4 Stability and Bifurcations; 4.5 Conclusion; Appendix A: Steady State Level Parameters; Appendix B: Transformed Model; 5 Empirical Estimation of the Model and Derived Results; 5.1 Introduction
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5.2 Estimation from United Kingdom Data5.3 Time Lag Distributions; 5.4 Steady State and Stability Properties; 5.5 Post-Sample Forecasting Performance; 5.6 Conclusion; Appendix A: Linear Approximation about Sample Means; Appendix B: Data; References; Author Index; Subject Index
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| Abstract
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This 2007 monograph presents a continuous time macroeconometric model of the United Kingdom incorporating stochastic trends.
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| Subject
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Econometric models.
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| Subject
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Finance-- Great Britain-- Econometric models.
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| Subject
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Stochastic processes.
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BUSINESS ECONOMICS-- Economic Conditions.
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BUSINESS ECONOMICS-- Economic History.
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BUSINESS ECONOMICS-- Economics-- Comparative.
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| Subject
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Econometric models.
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| Subject
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Economic policy-- Econometric models.
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| Subject
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Finance-- Econometric models.
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| Subject
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Modèles économétriques.
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| Subject
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POLITICAL SCIENCE-- Economic Conditions.
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| Subject
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Processus stochastiques.
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| Subject
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Stochastic processes.
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| Subject
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Great Britain, Economic policy, Econometric models.
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| Subject
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Grande-Bretagne, Politique économique, 20e siècle.
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| Subject
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Great Britain.
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| Dewey Classification
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330.941/086
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| LC Classification
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HC256.7.B47 2007eb
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| Added Entry
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Nowman, Khalid Ben,1962-
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